There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous timefractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of the FIWSV...

The technique of using densities and conditional distributions to carry out consistent specification testing and model selection amongst multiple diffusion processes have received considerable attention from both financial theoreticians and empirical econometricians over the last two decades....

There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous timefractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of the FIWSV...

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

Let $X$ be a mixed process, sum of a brownian motion and a renewal-reward process, and $\tau_{x}$ be the first passage time of a fixed level $x

The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte-Carlo methods. We study here an advanced version of familiar Markov-chain Monte-Carlo (MCMC) algorithms that sample from target...

The study examined the diffusion of container method of packaging for the period 1968 – 2005 in Nigeria with a view to adopting the method in the Nigerian Transport System. This was done by collecting a comprehensive data set of import and export container traffic from seven selected ports in...